Correction to: Probability of default estimation in credit risk using a nonparametric approach

1 Correction to: TEST https://doi.org/10.1007/s11749-020-00723-1

The authors would like to correct the errors in the publication of the original article. The correction details are given below:

In page 7, the superscript ‘2’ that appears in the denominator of the asymptotic expression of $\text {Bias}\big ( \widehat{PD}(t|x) \big )$ has to be removed. The correct expression is as follows:

$$\begin{aligned} Bias \big (\widehat{PD}(t|x) \big ) = \dfrac{ (1-PD(t|x)) B_0(t|x) - B_0(t+b|x)}{S(t|x)} h^2 +o(h^2) + O \left( \dfrac{1}{nh}\right) \end{aligned}$$

The superscript ‘2’ that appears in the denominator of the expression of $\alpha _1$ in Equation (15) has to be removed. The correct expression is as follows:

$$\begin{aligned} \alpha _1= & {} \dfrac{ (1-PD(t|x)) B_0(t|x) - B_0(t+b|x)}{S(t|x)} h^2 +o(h^2) \end{aligned}$$

(15)